A comparison of implied and realized volatility in the Nordic power forward market
Journal article, Peer reviewed
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Original versionEnergy Economics. 2015, 48 288-294. 10.1016/j.eneco.2014.12.021
In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied volatility has a positive bias against the realized volatility measure indicating that there is a risk premium imposed by option traders. The results are consistent with previous research in other markets.